Code JEL

URI

Collections

Métadonnées

Auteur

Jouini, Elyès

Napp, Clotilde

Type

Document de travail / Working paper

Nombre de pages du document

23

Résumé en anglais

In both arbitrage and utility pricing approaches, the fictitious completion appears as a very powerful tool that permits to generalize to an incomplete markets framework, results initially established in a complete markets setting. Does this technique permit to characterize the equilibrium pricing interval? In other words, does the set of prices that can be reached at the
equilibrium for at least one distribution of preferences/endowments and for at least one completion coincide with the set of prices that can be reached at the equilibrium for at least one distribution of preferences/endowments? This note provides a negative answer.